1. Field of the Invention
The present invention relates to a method and system for formatting financial data, and more particularly to a method and system for formatting and validating financial information exchange (FIX) protocol data.
2. Discussion of the Related Art
Banks and other financial entities offer their customers opportunities to trade in various financial transactions, such as currencies. Currency trading is also known as foreign exchange, ForEx, or FX. Typically, the bank presents to a customer a list of currencies from which the customer can select a pair, or the bank may display a list of currency pairs. In any event, the bank associates prices to each currency pair. The bank uses a communication protocol, such as the FIX protocol, to communicate with different customers to relay the price information.
Generally, if a customer is buying, an exchange rate (usually given as base currency/quote currency) specifies how much the customer must pay in the quote currency to obtain one unit of the base currency. If the customer is selling, the exchange rate specifies how much the customer would get in the quote currency when selling one unit of the base currency. The pricing information is based on many factors such as the electronic communications network (ECN) on which the FX is traded, customer name, order size, etc. All of the information is communicated back and forth between the banks and their customers using the communication protocol (e.g., FIX protocol).
After getting a price request for a currency pair from a customer, banking systems may take many steps before sending prices back to the customer. The steps include receiving messages, such as FIX messages, from an ECN regarding the currency pair and formatting the message into internal and uniform data representation. Based on the received information and additional information, such as the customer's credit data, the price is calculated. The price or trading information is eventually translated into external messages and transmitted to the customers. However, because many details of the communication protocol, such as the FIX protocol, are not defined, the information contained in the messages may result in different interpretations by different customers. Because the system has to deal with many external customers, some customers may try to take advantage of the system to make a profit by sending messages with improper data to defraud the system. Accordingly, there is a need to validate and check the incoming messages as well as translate the message into an internal format and send price information to the customers.
Moreover, prior art systems dealing with different customers have to spend a large amount of time and effort to format and validate the message data. Because the formatting logic is integrated into the main processing system, it is difficult for the main system to deal with different and changing messages from the ECN and the customers. Accordingly, there is a need for formatters that are configurable and replaceable for each ECN and customer.